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econ.EM2018
On LASSO for Predictive Regression
Ji Hyung Lee, Zhentao Shi, Zhan Gao
Explanatory variables in a predictive regression typically exhibit low signal strength and various degrees of persistence. Variable selection in such a context is of great importan…
stat.CO2018
Implementing Convex Optimization in R: Two Econometric Examples
Zhan Gao, Zhentao Shi
Economists specify high-dimensional models to address heterogeneity in empirical studies with complex big data. Estimation of these models calls for optimization techniques to hand…